Skew
Structured products house of the year: UBS
Risk Awards 2025: bulked-up structuring team is more than just the sum of its parts
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
Neural joint S&P 500/VIX smile calibration
A one-factor stochastic local volatility model can solve the joint calibration problem
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented
Plugging the leaks in skewed pricing
Liquidity recycling has made it trickier for LPs to identify information leakage
Smile-consistent basket skew
An analytic approximation for the implied volatility surface of basket options is introduced
Shhh, don’t tell: the struggle to keep skew under wraps
Liquidity recycling by clients has made it more difficult for banks to keep skews quiet
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
Does the term structure of the at-the-money skew really follow a power law?
A power law can fit the ATM skew, but struggles with short maturities
‘Perfect’ VKO trades knock the smile off vol
Dealer hedging of options which profit from ‘spot down, vol down’ may have amplified rare dynamic
Fragile liquidity puts markets in ‘danger zone’
Some measures of trading conditions are as poor as in 2008
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented
The future of skew
Forward start volatility swaps and their pricing and hedging models are introduced
Currency derivatives house of the year: UBS
Risk Awards 2022: T-Pricer platform enabled bank to gain technological edge
Follow the moneyness
Barclays quants extend Bergomi’s skew stickiness ratio to all strikes
Sticky varswaps
Bergomi's skew-stickiness ratio is extended to the setting of variance swaps
The step stochastic volatility model
Extreme short-dated skew can be obtained by decomposing it in two parts
Jarrow and co find a better way to spot stock market bubbles
Quant team’s options-based approach avoids pitfalls of historical data dependence
Structured products house of the year: Credit Suisse
Risk Awards 2021: private bank tie-up provided vital risk-sharing outlet for Covid volatility